Identify irregular manager, portfolio or instrument behavior. Compare factor contribution versus benchmarks.
Portfolio Monitoring & Risk Management
Ensuring that your strategies remain in line with your investment objectives is an important part of the investment process. Our Portfolio Monitoring allows you to constantly review the behavior of your strategies by doing ex post and ex ante performance attribution and risk attribution. This is done for individual assets or funds, sectors and countries regardless whether they follow active or passive strategies or whether the allocation of each fund is known. By using our factor-based approach we can decompose the return of any traditional fund in a set of linear risk factors and by using our non-linear analysis tool we can explain the behavior of funds that invest in derivatives strategies, credit assets and event-driven strategies. Additionally, our un-smoothing tool estimates the underlying performance and risk of illiquid investment such as hedge funds and private equities allowing to include this type of funds into a more diversified portfolio with returns in a higher frequency.
Monitoring & Risk Management
Attributing the historic performance is the first step of our Portfolio Monitoring service, so you can check whether your portfolio or individual funds keep in line with your investment objectives. It is an important tool to track the contribution of specific trades, sector or geographic allocation and managers in both absolute term and relative to the benchmark. Additionally, we report the marginal and total contribution to the portfolio risk and to the portfolio tracking error. For equities volatility
it reports Value-At-Risk, Conditional VaR, tracking error, risk concentrations and betas. For fixed income duration, credit spread, counterparty risk, curve positioning and DV01 among others.
Our factor approach improves the performance attribution by understanding the underlaying risk of individual funds and the portfolio which are naturally linked to the main macroeconomics variables that measures the business cycle, inflation, etc. So, you can have a more transparent measure to perform stress testing and other type of risk analysis. Another benefit from the factor approach for monitoring is the better estimation of manager’s alfa and betas.
Risk management is enriched by our dynamic factor approach and by our risk forecast and scenario simulations models allowing for more realistic and tailormade stress tests and conditional VaR tests. Additionally, the use of non-linear analysis improves the measure of the risk contribution of assets such as credit products, derivatives and event-driven strategies. Finally, our un-smoothing tool allows us to include illiquid asset in our performance monitoring and risk management service, so private equities and hedge funds con be compared with more liquid assets, understanding their co-movements both in linear and non-linear terms.
CUANTSERV – Tools & Models
Factor-based exposure drift: Identify irregular manager, portfolio or instrument behavior. Compare factor contribution versus benchmarks.
Dashboards: Screen multiple key performance indicators and observe trends.
Performance & Attribution: Highlight and report changes on main return drivers. See probabilistic distribution of return sources.
Risk & Correlation: Risk decomposition based on multiple regression systems. Update covariance matrix and observe concentration changes.
Risks: For equities volatility, Value-At-Risk, Conditional VaR, tracking error, risk concentrations and betas. For fixed income duration, credit spread, counterparty risk, curve positioning and DV01 among others.
Scenarios: Stress portfolio based on custom and historical scenarios (i.e credit crisis).
What are you waiting for?
Contact Cuantserv today and start making more informed investment decisions, better serve your clients precise investment objectives, and create new opportunities for your advisory firm, family office, or wealth management business.
*Free consultation call available to sophisticated investors only. Portfolio must be in excess of 20M USD.